Bivariate normal mixture spread option valuation

DOI10.1080/14697680400016174zbMath1405.91687OpenAlexW2272339737MaRDI QIDQ4610274

Carol Alexander, Andrew Scourse

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680400016174

zbMATH Keywords

European spread optionsimplied correlation, bivariate normal mixture density

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Additive subordination and its applications in finance ⋮ Pricing and hedging Asian basket spread options ⋮ Measuring exposure to dependence risk with random Bernstein copula scenarios

Cites Work

• The Pricing of Options and Corporate Liabilities
• ARCH models as diffusion approximations
• Pricing and Hedging Spread Options
• Semi-parametric modelling in finance: theoretical foundations
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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